Class ACERReturnLevel

All Implemented Interfaces:
Function<Vector,Double>, RealScalarFunction, UnivariateRealFunction

public class ACERReturnLevel extends ReturnLevel
Given an ACER function, compute the return level \(\eta\) for a given return period \(R\). \(\epsilon_k(\eta)\) can be computed as the inverse of this equation: \[ R = \frac{1}{Pr(X > \eta)} = \frac{1}{1 - \exp(-\epsilon_k(\eta) N)} \] and the corresponding return level \(\eta\) can be found by the inverse of the ACER function.
  • Constructor Details

    • ACERReturnLevel

      public ACERReturnLevel(ACERFunction.ACERParameter parameter, double N)
      Create an instance with the (estimated) ACER function parameter and the total number of events.
      parameter - the parameter for the ACER function
      N - the total number of events per time period